Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 4 | 4 | 5 |
| Score | -2.68 | -2.42 | -0.54 |
| Market Cap (Millions USD) | 2303.46 | 2248.14 | 2283.7 |
| Predicted Beta | 0.4 | 0.4 | 0.4 |
| Idiosyncratic Volatility | 1.54 | 1.53 | 2.02 |
Annualized return and volatility
| EPP | |
|---|---|
| Annualized Return | 0.0956 |
| Annualized Std Dev | 0.2341 |
| Annualized Sharpe (Rf=0%) | 0.4084 |
Row
Daily Return Statistics
| EPP | |
|---|---|
| Observations | 4650.0000 |
| NAs | 464.0000 |
| Minimum | -0.1122 |
| Quartile 1 | -0.0057 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0074 |
| Maximum | 0.1659 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0147 |
| Skewness | 0.2119 |
| Kurtosis | 13.3183 |
Downside Risk
| EPP | |
|---|---|
| Semi Deviation | 0.0105 |
| Gain Deviation | 0.0109 |
| Loss Deviation | 0.0115 |
| Downside Deviation (MAR=210%) | 0.0150 |
| Downside Deviation (Rf=0%) | 0.0103 |
| Downside Deviation (0%) | 0.0103 |
| Maximum Drawdown | 0.6601 |
| Historical VaR (95%) | -0.0210 |
| Historical ES (95%) | -0.0355 |
| Modified VaR (95%) | -0.0189 |
| Modified ES (95%) | -0.0189 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2013-01-10 | -0.6601 | 1330 | 273 | 1057 |
| 2014-09-04 | 2016-01-15 | 2017-07-14 | -0.3040 | 733 | 352 | 381 |
| 2002-05-23 | 2002-10-09 | 2003-06-11 | -0.1874 | 272 | 99 | 173 |
| 2018-01-29 | 2018-12-24 | 2019-06-27 | -0.1782 | 362 | 233 | 129 |
| 2007-07-24 | 2007-08-16 | 2007-09-19 | -0.1759 | 42 | 18 | 24 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EPP | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.0 | 0.0 | 0.0 | 1.0 |
| 2002 | -1.3 | 0.4 | -0.2 | 0.7 | 0.0 | -0.3 | -1.6 | 0.0 | 1.4 | 0.4 | 0.0 | 0.0 | -0.5 |
| 2003 | 0.0 | 0.0 | 0.0 | 0.5 | 0.0 | 1.5 | 0.1 | 0.0 | 2.0 | 0.0 | 1.3 | 0.0 | 5.5 |
| 2004 | 0.0 | 0.5 | 0.6 | 0.0 | -0.4 | 0.2 | 0.0 | 1.0 | 1.0 | 0.3 | 1.2 | 0.0 | 4.4 |
| 2005 | 0.9 | 0.1 | -0.1 | 0.0 | 0.6 | -0.5 | 0.8 | 1.5 | 0.0 | -0.3 | 1.6 | 0.0 | 4.7 |
| 2006 | -0.1 | 0.3 | 0.0 | 0.5 | 1.2 | 0.0 | -0.4 | 0.9 | 0.0 | 0.2 | -1.5 | 0.0 | 1.1 |
| 2007 | 0.2 | -1.7 | 0.0 | 0.4 | 1.1 | 0.0 | -1.4 | 0.0 | 2.2 | -3.8 | 0.0 | 0.0 | -3.2 |
| 2008 | 3.4 | 0.0 | 3.1 | 1.0 | 0.0 | -2.4 | -1.9 | 0.0 | -0.1 | 0.0 | -8.7 | 0.0 | -6.0 |
| 2009 | 0.0 | 0.0 | 2.5 | 0.3 | 3.6 | 0.5 | 0.0 | -1.9 | -3.3 | 0.0 | 2.2 | 0.0 | 3.9 |
| 2010 | 2.2 | 2.1 | 2.0 | 0.0 | -2.2 | 0.2 | 0.0 | 4.5 | 1.0 | 1.1 | 2.8 | 0.0 | 14.3 |
| 2011 | 1.7 | -1.6 | 1.1 | 0.0 | -2.3 | 0.8 | 0.5 | -0.9 | 0.0 | -2.6 | -1.0 | 0.0 | -4.3 |
| 2012 | 1.2 | 0.8 | 0.0 | 0.5 | -2.1 | 0.0 | -0.2 | 0.0 | 0.9 | 0.4 | 0.0 | 0.0 | 1.4 |
| 2013 | 0.6 | 0.0 | -0.4 | -1.5 | 0.0 | -0.3 | 0.7 | 0.0 | 1.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2014 | 0.0 | 0.0 | 0.6 | -0.5 | 0.0 | 0.5 | -0.3 | 0.0 | -0.3 | 0.0 | -1.8 | 0.0 | -1.8 |
| 2015 | 0.0 | 0.0 | 0.5 | 0.6 | -0.7 | 0.7 | 0.0 | -3.8 | 0.6 | 0.0 | 2.2 | 0.0 | 0.1 |
| 2016 | -0.2 | 2.8 | -0.7 | 0.0 | -0.1 | 0.3 | -0.8 | 0.7 | 0.0 | 0.0 | 0.5 | 0.0 | 2.5 |
| 2017 | 0.4 | 1.2 | 0.0 | 0.9 | 0.3 | 0.0 | 0.5 | 0.6 | 0.0 | 0.7 | 0.1 | 0.0 | 4.9 |
| 2018 | 0.2 | -0.5 | 0.0 | 0.3 | 0.3 | 0.0 | -1.2 | 0.0 | 0.0 | 2.2 | 0.0 | 0.0 | 1.3 |
| 2019 | -0.6 | 0.6 | 1.6 | -0.3 | 0.0 | 0.2 | -1.3 | 0.0 | -1.1 | 1.4 | 0.0 | 0.2 | 0.5 |
Row
Rolling Performance Chart
Snail Trail Chart
